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The successful candidate will handle to handle IFRS 9 implementation projects for a bank in the following areas:
- Validate the risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management under Basel
- Identify adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) and ensure they comply with IFRS 9 requirements
- Make adjustments required to risk parameters (PD, LGD, EAD/CCF) calculated for internal credit risk management (under Basel) to ensure compliance with IFRS 9 requirements
- Provide quantitative and technical support required in building IFRS 9 compliant impairment models and calculators for clients
- B.Sc. (2.1)/MBA in Mathematics or Actuarial Science
Relevant working experience
- 2 -3 years credit risk modeling experience covering risk parameters such as PD, LGD, EAD/CCF etc. in an Advanced IRB environment
- Basel II/III capital requirement calculations under Advanced IRB approach
- IFRS 9 and IAS 39 knowledge/experience will be an added advantage.
- Modeling savvy:
- Using mathematical sense to model under different scenarios
- Model validation etc.
Method of Application
Interested and qualified? Go to Ernst and Young career website on tas-ey.taleo.net to apply
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